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| ''Risk management'' | | ''Tax''. |
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| Duration calculates the weighted average timing of the cashflows of an instrument, weighted by the present values of the cashflows.
| | The OECD model tax convention. |
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| Two forms of the duration measure are Macaulay's duration (which is simpler) and Fisher-Weil duration (which is more refined).
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| Macaulay’s duration assumes a flat yield curve - in other words the same yield (to maturity) for all maturities of cashflow.
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| Fisher-Weil duration is a refinement of Macaulay’s duration which takes into account the term structure of interest rates.
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| Fisher-Weil duration calculates accordingly the present values of the relevant cashflows (more strictly) by using the zero coupon yield for each respective maturity.
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| This refinement is particularly important when the cash flows are longer term and when yields vary significantly for different maturities.
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| == See also == | | == See also == |
| * [[Duration]] | | * [[Double tax treaties]] |
| * [[Macaulay duration]] | | * [[Double taxation]] |
| * [[Yield curve]] | | * [[OECD model tax convention]] |
Revision as of 20:38, 26 February 2022
Tax.
The OECD model tax convention.
See also